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Subject:  Re: OT: Yield Curve Date:  10/21/2019  9:58 AM
Author:  RandomDoc Number:  275348 of 275973

Munfofitch said:
"I've been meaning to look at the historical distribution of relative lags"

This article by Cam Harvey (widely considered as the "inventor" of the yield curve indicator based on his PhD work) gets to what you're looking for.

The first figure averages all inversions and calculates returns looking back and forward 36 months from inversion point.

The following figures do the same but looks at each of the eight individual inversions.
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